Stochastic Portfolio Theory
Stochastic Portfolio Theory
ISBN: 9780387954059
出版社: Springer
出版年: 2002-04-12
页数: 192
定价: USD 79.95
装帧: Hardcover
内容简介
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics, and to determine the distributional component of portfolio return. On a practical level, stochastic portfolio theory has been the basis for strategies used for over a decade by the institutional equity manager INTECH, where the author has served as chief investment officer. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.